Set up keyboard shortcut to move messages in Mail
After trying unsuccessfully to find a shortcut to move messages from my inbox into other mailboxes in Mail, I decided to set up my own shortcut by going to System Preferences - Keyboard - Shortcuts - App Shortcuts - Mail then setting up 'Move to' with Command-M. But this does not seem to work. What have I done wrong?
Mac OS X (10.7.2)